The prediction of fluctuation in the order-driven financial market

Fabin Shi, Xiao-Qian Sun, Jinhua Gao, Zidong Wang, Hua-Wei Shen and Xue-Qi Cheng

PLOS ONE, 2021, vol. 16, issue 11, 1-15

Abstract: Risk prediction is one of the important issues that draws much attention from academia and industry. And the fluctuation—absolute value of the change of price, is one of the indexes of risk. In this paper, we focus on the relationship between fluctuation and order volume. Based on the observation that the price would move when the volume of order changes, the prediction of price fluctuation can be converted into the prediction of order volume. Modelling the trader’s behaviours—order placement and order cancellation, we propose an order-based fluctuation prediction model. And our model outperforms better than baseline in OKCoin and BTC-e datasets.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0259598

DOI: 10.1371/journal.pone.0259598

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